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arxiv: 1109.3430 · v1 · pith:37UMPT7Xnew · submitted 2011-09-15 · 🧮 math.PR

Numerical schemes for G--Expectations

classification 🧮 math.PR
keywords timediscreteexpectationsanalogapproximationcaseconsidercontinuation
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We consider a discrete time analog of $G$--expectations and we prove that in the case where the time step goes to 0 the corresponding values converge to the original $G$--expectation. Furthermore we provide error estimates for the convergence rate. This paper is continuation of [4]. Our main tool is a strong approximation theorem which we derive for general discrete time martingales.

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